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Author : Jaeho Cho
Publisher :
ISBN 13 :
Total Pages : 228 pages
Book Rating : 4.:/5 (224 download)
Download or read book Three Essays on Asset Pricing Theory written by Jaeho Cho and published by . This book was released on 1989 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lionel Martellini
Publisher :
ISBN 13 :
Total Pages : 184 pages
Book Rating : 4.:/5 (851 download)
Download or read book Three Essays in Asset Pricing Theory written by Lionel Martellini and published by . This book was released on 2002 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yongli Zhang
Publisher : ProQuest
ISBN 13 : 9780549269489
Total Pages : 198 pages
Book Rating : 4.2/5 (694 download)
Download or read book Three Essays on Asset Pricing written by Yongli Zhang and published by ProQuest. This book was released on 2007 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: G models without a monetary perspective are difficult to capture the dynamics of the real interest rates in the data of the US economy.
Author : Selale Tuzel
Publisher :
ISBN 13 :
Total Pages : 286 pages
Book Rating : 4.:/5 (669 download)
Download or read book Three Essays in Asset Pricing written by Selale Tuzel and published by . This book was released on 2005 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhi Da
Publisher :
ISBN 13 :
Total Pages : 236 pages
Book Rating : 4.:/5 (836 download)
Download or read book Three Essays on Asset Pricing written by Zhi Da and published by . This book was released on 2006 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Emmanuel Leclercq
Publisher :
ISBN 13 :
Total Pages : 156 pages
Book Rating : 4.:/5 (893 download)
Download or read book Three Essays on Asset Pricing written by Emmanuel Leclercq and published by . This book was released on 2014 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tae-Jin Kang
Publisher :
ISBN 13 :
Total Pages : 174 pages
Book Rating : 4.:/5 (89 download)
Download or read book Three Essays on Asset Pricing Model with Heterogenous Agents written by Tae-Jin Kang and published by . This book was released on 1991 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Asset Pricing written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anya Khanthavit
Publisher :
ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.:/5 (819 download)
Download or read book Three Essays on Asset Pricing written by Anya Khanthavit and published by . This book was released on 1992 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lei Zhao
Publisher :
ISBN 13 : 9780438193239
Total Pages : 0 pages
Book Rating : 4.1/5 (932 download)
Download or read book Three Essays on Asset Pricing written by Lei Zhao and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using more stringent test assets and more formal model diagnostic tools, the first essay demonstrates the importance of higher-order comoment risks in asset pricing by assessing the performance of the most commonly used asset pricing models with and without these risks incorporated. Specifically, we find that higher-order comoment risks help the Fama and French serial pricing kernels to be closer to the admissible pricing kernel and that the newly developed Fama and French five-factor model (Fama and French, 2015), when augmented by the quadratic and cubic terms of the market return and with momentum incorporated, requires the least adjustment to be admissible.
Author : Sunil Kenath Panikkath
Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.:/5 (845 download)
Download or read book Three Essays on Asset Pricing written by Sunil Kenath Panikkath and published by . This book was released on 2001 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zongming Ma
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)
Download or read book Three Essays on Asset Pricing in Regime and ESG Environments written by Zongming Ma and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing has been a focal point among a broad range of financial studies. Traditional asset pricing models are encountering challenges by empirical data and sustainable compliance. For example, the Black-Scholes-Merton (BSM) model exhibits the "volatility smile" puzzle and the role that sustainability plays in accounting for asset pricing remains controversial. Based on these observations, I raise three research questions. First, can an option valuation model with a pricing kernel that depends on market regimes address volatility smile and be consistent with observed market prices? Second, how do the Environment, Social and Governance (ESG) ratings affect asset prices across different economic sectors, firm sizes, and time horizons? Third, since the macroeconomic environment affects firms' strategies and financial performance, how do ESG ratings affect stock returns across market regimes? I address these questions in three essays. The first essay reveals that the proposed model can predict the market option prices more accurate than the alternative models (Black-Scholes-Merton, Heston-Nandi, Hardy) do for both the in-sample and out-of-sample data across regimes. The second essay finds that ESG ratings have a positive effect on stock returns, particularly for sensitive industries (gas, oil, chemical, mining, alcohol, and tobacco, etc.), for large capitalization firms, and for long-term investment horizons. The third essay uses a machine learning method to identify market regime using 134 macroeconomic factors and a factor model to discover a positive relationship between ESG and asset returns in the bear regime. The factor model also show that the impact of ESG rating on stock returns in a sector, given a market regime, depends significantly on the level of demand in that sector under that market regime.
Author : Yoon Kang Lee
Publisher :
ISBN 13 :
Total Pages : 157 pages
Book Rating : 4.:/5 (18 download)
Download or read book Three Essays in Asset Pricing written by Yoon Kang Lee and published by . This book was released on 2018 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of three chapters that aim to understand how the interactions between various investors and instruments in financial markets are linked to asset prices.
Author : Chen Cao
Publisher :
ISBN 13 :
Total Pages : 137 pages
Book Rating : 4.:/5 (868 download)
Download or read book Three Essays on Asset Allocation and Asset Pricing written by Chen Cao and published by . This book was released on 2013 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gyutaeg Oh
Publisher :
ISBN 13 :
Total Pages : 101 pages
Book Rating : 4.:/5 (753 download)
Download or read book Three Essays in Asset Pricing Theories written by Gyutaeg Oh and published by . This book was released on 1991 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mahmoud Botshekan
Publisher :
ISBN 13 : 9789036103312
Total Pages : 142 pages
Book Rating : 4.1/5 (33 download)
Download or read book Three Essays in Asset Pricing and Portfolio Choice written by Mahmoud Botshekan and published by . This book was released on 2012 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philipp A. Dirkx
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (128 download)
Download or read book Three Essays on Asset Pricing and Factor Investing written by Philipp A. Dirkx and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
